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Economic fluctuations and anomalous diffusion
16 references·16 citing·37 second hopsampled
Economic fluctuations and anomalous diffusion (2000)Economic fluctuations and anomalous diffu…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Scaling and criticality in a …The Econometrics of Financial Markets (1997)The Econometrics of Financial…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…The econometrics of financial markets (1996)The econometrics of financial…Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Linking agent-based models and stochastic models of financial markets (2012)Linking agent-based models an…Role of activity in human dynamics (2008)Role of activity in human dyn…Modeling human dynamics with adaptive interest (2008)Modeling human dynamics with …A statistical physics view of financial fluctuations: Evidence for scaling and universality (2008)A statistical physics view of…Scaling and memory of intraday volatility return intervals in stock markets (2006)Scaling and memory of intrada…Institutional Investors and Stock Market Volatility (2005)Institutional Investors and S…On the origin of power-law tails in price fluctuations (2004)On the origin of power-law ta…On the origin of power-law fluctuations in stock prices (2004)On the origin of power-law fl…Multifractality in the stock market: price increments versus waiting times (2004)Multifractality in the stock …Components of multifractality in high-frequency stock returns (2004)Components of multifractality…Common scaling patterns in intertrade times of U. S. stocks (2004)Common scaling patterns in in…Anomalous waiting times in high-frequency financial data (2004)Anomalous waiting times in hi…Quantifying stock-price response to demand fluctuations (2002)Quantifying stock-price respo…Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)Market Fluctuations I: Scalin…Stylized facts of financial markets and market crashes in Minority Games (2001)Stylized facts of financial m…Price fluctuations, market activity and trading volume (2001)Price fluctuations, market ac…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Herd Behavior in Financial Markets (2000)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)The Behavior of Stock-Market Prices (1965)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Pricing of Options and Corporate Liabilities (1973)Institutional Investors and Stock Market Volatility (2006)Cross-correlations between volume change and price change (2009)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1997The Econometrics of Financial Markets5,007 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 1996The econometrics of financial markets886 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks

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534 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • Cited by

    • 2002Quantifying stock-price response to demand fluctuations232 cited
    • 2008Role of activity in human dynamics169 cited
    • 2004Common scaling patterns in intertrade times of U. S. stocks166 cited
    • 2001Stylized facts of financial markets and market crashes in Minority Games162 cited
    • 2004Multifractality in the stock market: price increments versus waiting times159 cited
    • 2006Scaling and memory of intraday volatility return intervals in stock markets156 cited
    • 2004Components of multifractality in high-frequency stock returns152 cited
    • 2004On the origin of power-law tails in price fluctuations150 cited
    • 2005Institutional Investors and Stock Market Volatility145 cited
    • 2012Linking agent-based models and stochastic models of financial markets138 cited
    • 2001Price fluctuations, market activity and trading volume117 cited
    • 2002Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins114 cited
    • 2008Modeling human dynamics with adaptive interest97 cited
    • 2008A statistical physics view of financial fluctuations: Evidence for scaling and universality92 cited
    • 2004Anomalous waiting times in high-frequency financial data91 cited
    • 2004On the origin of power-law fluctuations in stock prices90 cited